Estimation of Dynamic Panel Threshold Model using Stata
Econometrics
2020-01-15 v1
Abstract
We develop a Stata command xthenreg to implement the first-differenced GMM estimation of the dynamic panel threshold model, which Seo and Shin (2016, Journal of Econometrics 195: 169-186) have proposed. Furthermore, We derive the asymptotic variance formula for a kink constrained GMM estimator of the dynamic threshold model and include an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. The use of the command is illustrated through a Monte Carlo simulation and an economic application.
Cite
@article{arxiv.1902.10318,
title = {Estimation of Dynamic Panel Threshold Model using Stata},
author = {Myung Hwan Seo and Sueyoul Kim and Young-Joo Kim},
journal= {arXiv preprint arXiv:1902.10318},
year = {2020}
}